Portfolio Selection with Monotone Mean-Variance Preferences

Fabio Maccheroni, Massimo Marinacci, Aldo Rustichini and Marco Taboga

ICER Working Papers - Applied Mathematics Series from ICER - International Centre for Economic Research

Abstract: We propose a portfolio selection model based on a class of preferences that coincide with mean-variance preferences on their domain of monotonicity, but differ where mean-variance preferences fail to be monotone.

Pages: 31 pages
Date: 2004-04, Revised 2004-12
New Economics Papers: this item is included in nep-fin
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.bemservizi.unito.it/repec/icr/wp2004/Maccheroni-Marinacci27-04.pdf (application/pdf)

Related works:
Journal Article: PORTFOLIO SELECTION WITH MONOTONE MEAN‐VARIANCE PREFERENCES (2009)
Working Paper: Portfolio Selection with Monotone Mean-Variance Preferences (2008)
Working Paper: Portfolio Selection with Monotone Mean-Variance Preferences (2007)
Working Paper: Portfolio Selection with Monotone Mean-Variance Preferences (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:icr:wpmath:27-2004

Access Statistics for this paper

More papers in ICER Working Papers - Applied Mathematics Series from ICER - International Centre for Economic Research Corso Unione Sovietica, 218bis - 10134 Torino - Italy. Contact information at EDIRC.
Bibliographic data for series maintained by Daniele Pennesi ().